Essays about: "International CAPM"
Showing result 1 - 5 of 8 essays containing the words International CAPM.
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1. Factor Investing and Macroeconomic Risk
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis examines the influence of macroeconomic risk on simple investment strategies related to the well-known risk factors size, value and momentum. Based on a sample of 25,224 stocks from ten different countries, quarterly returns between 1999 and 2016 have been analyzed with fixed-effect regression models. READ MORE
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2. Systematic Risk, Financial Indicators and the Financial Crisis: A Risk Study on International Airlines
University essay from Uppsala universitet/Företagsekonomiska institutionenAbstract : This thesis studies the relationships between systematic risk, financial indicators and the financial crisis from the perspective of international airlines. The thesis uses the CAPM beta of airline stock as the proxy for airline systematic risk and explores its relationships with six financial indicators and the financial crisis which broke out in the second half of 2008. READ MORE
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3. Risk Attitudes and the Equity Premium Puzzle: empirical tests in a cross-country setting
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This study utilises panel data, Equity Home Bias measurements and a two-stage estimation process incorporating one version of the international CAPM to extract comparable input data and test country-scores for risk preferences, risk aversion and time discounting as well as country scores on broader cultural dimensions, on country-estimates of the Equity Risk Premia. The risk attitude scores, which just recently have been made available, are such that they may proxy for irrational behaviours which have been theorized to explain the Equity Premium Puzzle, and enable a rigorous way to empirically test such an effect. READ MORE
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4. Pricing Portfolios Constructed on Cyclicality Considerations Using Non-Domestic Regional Factors: Evidence from Eurozone Region
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This research paper tests the traditional market based pricing models and their ability to explain the return on portfolios constructed on cyclicality basis in the Eurozone region. The paper goes beyond the domestic market portfolios (indices) regularly used for asset pricing to the more regional or international approach of asset pricing through using regional market portfolios as a predictor factor as a potential indicator of the Eurozone economic integration level. READ MORE
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5. Exchange rate sensitivity - a study of stock price sensitivity to unexpected changes in the EUR/SEK exchange rate
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Purpose: To investigate if there is a significant stock price sensitivity towards the currency pair for portfolios of Swedish companies and how this sensitivity differs between sectors, firm size and foreign to total sales ratios. Methodology: Use orthogonalized unexpected movements in a market index and the exchange rate and regress these on portfolio returns sorted by sector, firm size and foreign to total sales ratios. READ MORE
